Every property has its market value. If they aren’t getting offers, it’s overpriced.
It may be overpriced or it just may be anybody who can afford such a house doesn’t want to be in Illinois, pay Illinois taxes etc. If you have $12 million you can live in a much nicer state with better weather and more things to do. Even California - you may pay the same in taxes but you’re in California. Or Florida. Or Texas. Illinois does’t offer much and I imagine most of the wealthy are planning how to get out - not to dig themselves in deeper. As a primary residence it may not be ideal, and I can’t see it being a vacation home either. So there is a very limited market of buyers.
And I imagine that those who could afford it, who are also committed to living in Illinois already have a nice place. The market of potential buyers has to be extremely small.
It’s all about location. If it were a desirable location would have sold. Someone with that kind of money would just tear down the house anyway and build their own house the way they want it.